The work carried out in many financial institutions has demonstrated that successful trading operations can be built using functional programming. However, there remains an entry barrier due to the lack of practical knowledge required to apply these techniques effectively. This book lowers that barrier by offering accessible insights that are enriched with real-world expertise.

While functional programming has been around for many decades, its benefits have become increasingly apparent in more recent years. This is due to a variety of factors, including advancements in processing speeds, the growth in the use of distributed computing, and the availability of functional programming languages on platforms which are popular in finance - particularly .NET and JVM.

The opening chapters introduce the fundamental concepts in functional programming and illustrate how these concepts are used in solving problems in the fixed income markets. As your understanding deepens, later chapters explore increasingly complex examples in areas such as valuation, risk analysis, hedging, and deal automation. The concluding chapters examine common programming patterns that arise across the solutions, including those influenced by category theory, such as functors, semigroups, monoids, and monads. At each stage, the book presents carefully selected algorithms to reinforce the practical understanding of the solutions.

In the end, this book provides an accessible introduction to the use of functional programming in the financial markets by bridging the gap between the theory of functional programming and its practical application in areas of finance.

What You Will Learn

• Develop functions for performing common financial market operations, such as valuing financial assets, calculating risks, hedging those risks, and automating buy/sell decisions.
• Use functional programming to extract business insights from large datasets using numerical and statistical techniques.
• Effectively apply various functional programming features, such as recursion, higher-order functions, and list processing, in creating these solutions
  Who This Book Is For

Aspiring professionals entering the financial markets; professional software engineers seeking a deeper understanding of how functional programming is utilized in modern capital markets; and finance professionals (including traders, risk managers, and other business users) who want to grasp the implementation details behind the "black box" tools they rely on in their day to day lives.

Learn from practical insights into how functional programming is applied within financial markets Understand how to recognize patterns and use abstractions like semigroups. monoids and monads to create robust solutions Study the space and time costs of solutions and how to apply parallel and distributed computing to implement them

Autorentext

Param Parmar has more than twenty years of experience applying software engineering, quantitative methods, and data analytics in global financial markets. He has held senior roles at UBS Investment Bank, Goldman Sachs, and Barclays Capital, including leading quantitative teams that built valuation and risk management systems for fixed income markets.

He has also worked as a consultant to banks, exchanges, and clearing organisations, and has delivered training to traders, risk managers, and technologists in interest rate and credit derivatives. Param holds an MSc with distinction from the University of Oxford and an MBA from Imperial College London.

Inhalt

Chapter 1 : An overview of functional programming in finance.- Chapter 2 : An introduction to the fixed income markets.- Chapter 3 : Asset valuation using functional programming.- Chapter 4 : Risk measurement.- Chapter 5 : Automating decision making.- Chapter 6 : Common patterns.- Chapter 7 : Costs and benefits.